In this paper, using data for the period January 1995 to May 2009 for the Shanghai stock exchange (SHSE), we show that aggregate illiquidity is a priced risk factor. We develop the relationship between the illiquidity factor, asymmetric information, and market collapse. Our empirical results...

In this paper, we investigate the relationship between health and economic growth through including investment, exports, imports, and research and development (R&D), for 5 Asian countries using panel unit root, panel cointegration with structural breaks and panel long-run estimator for the...

In this paper, we examine four specific hypotheses relating to commonality in liquidity on the Chinese stock markets. These hypotheses are: (a) that market-wide liquidity determines liquidity of individual stocks; (b) that liquidity varies with firm size; (c) that sectoral-based liquidity affects...

In this paper we examine a familiar topic in financial economics: the financial system-economic growth nexus. However, we depart from the extant literature in the sense that we empirically show that proposed models and variables are nonparametric, implying that the use of estimation techniques...

In this paper, we examine convergence of stocks markets. Our empirical exercise is based on 12 different panels, including a full panel consisting of 120 countries and disaggregated panels, such as high income, middle income, low income, OECD, CSI, and developing countries. In addition, we used...

This paper considers the issue of whether shocks to ten commodity prices (gold, silver, platinum, copper, aluminum, iron ore, lead, nickel, tin, and zinc) are persistent or transitory. We use two recently developed unit root tests, namely the Narayan and Popp (NP, 2010) test and the Liu and...

In this paper we examine the long-run relationship between gold and oil spot and futures markets. We draw on the conceptual framework that when oil price rises, it creates inflationary pressures, which instigate investments in gold as a hedge against inflation. We test for the long-run...

In this paper, we use the common structural break test suggested by Bai et al. (1998) to test for a common structural break in the stock prices of the US, the UK, and Japan. On the basis of the structural break, we divide each countries stock price series into sub-samples and investigate whether...

In this paper, we examine the unit root null hypothesis for per capita total health expenditures, per capital private health expenditures, and per capital public health expenditures for 29 OECD countries. The novelty of our work is that we use a new nonlinear unit root test that allows for one...

In this paper we propose a new ADF-type test for unit roots which accounts for two structural breaks. We consider two different specifications: (a) two breaks in the level of a trending series; and (b) two breaks in the level and slope of trending data. The breaks whose time of occurance is...